Bring the girl to the end of the level, buy a kiss for the kiss store, or get the secret item.

Spoiler

The Kapala. To get it, you need to put stunned or dead people on that stone that has a female thing with a knife. Each person is worth different points, soon, she will give you the kapala, and every 8 blood drops I think gives you a heart.

My Internet has been down for a while, just came back up, and I've been playing Spelunky, I can't get past the third level though, lol...

EDIT:
One funny thing that happened was when I had stolen from the prize place, so I had a wanted sign at the other shops, and I saw a kiss shop with the dude patrolling, so I tossed a bomb in, and the guy shot his shot gun and killed the girl
Fail.

EDIT Again:

Sweet, just got a shotgun out of a box, didn't know that was possible...